Market matching is a core component needed to manage trading in a set of financial instruments. A market matching service typically maintains a set of order books. In an electronic trading system, such order books are electronically maintained. Different order books may be maintained for different financial instruments traded. The order books may be used for processing arriving orders to buy and sell those instruments.
Requests arriving at the market matching service may be a mixture of new orders, cancellations and modifications of previous orders, etc. By way of example, a simple order may be a request to buy or sell a specific quantity of a specific instrument on behalf of a specific customer at a named price or limit price. Refinements such as mass-quote, stop loss and all-or-nothing orders require additional features, but do not change the basic pattern of processing.
One problem known to exist in a conventional electronic trading system, which implements a market matching service, is the ability of the system to efficiently process a high volume of requests.
Accordingly, there is a need for techniques that are able to efficiently process a high volume of requests in a data processing system such as in an electronic trading system.